Gunner and Rhapsody have given correct changes, but it's worth knowing why your original attempt failed. The String type is immutable - once you've got a string, you can't change its contents. All the methods which look like they're changing it actually just return a new value. So for example, if you have:
string x = "foo";
string y = x.Replace("o", "e");
the string x refers to will still contain the characters "foo"... but the string y refers to will contain the characters "fee".
This affects all uses of strings, not just the particular situation you're looking at now (which would definitely be better handled using Replace, or even better still a library call which knows how to do all the escaping you need).